g kapetanios
g kapetanios
Professor of Finance and Econometrics, Kings College London
Verified email at kcl.ac.uk
TitleCited byYear
Testing for a unit root in the nonlinear STAR framework
G Kapetanios, Y Shin, A Snell
Journal of econometrics 112 (2), 359-379, 2003
13852003
Panels with non-stationary multifactor error structures
G Kapetanios, MH Pesaran, T Yamagata
Journal of Econometrics 160 (2), 326-348, 2011
5012011
Assessing the economy‐wide effects of quantitative easing
G Kapetanios, H Mumtaz, I Stevens, K Theodoridis
The Economic Journal 122 (564), F316-F347, 2012
3222012
Unit‐root testing against the alternative hypothesis of up to m structural breaks
G Kapetanios
Journal of Time Series Analysis 26 (1), 123-133, 2005
2392005
Testing for cointegration in nonlinear smooth transition error correction models
G Kapetanios, Y Shin, A Snell
Econometric Theory 22 (2), 279-303, 2006
2302006
Getting PPP right: identifying mean-reverting real exchange rates in panels
G Chortareas, G Kapetanios
Journal of Banking & Finance 33 (2), 390-404, 2009
2062009
Unit root tests in three‐regime SETAR models
G Kapetanios, Y Shin
The Econometrics Journal 9 (2), 252-278, 2006
1542006
Forecasting exchange rates with a large Bayesian VAR
A Carriero, G Kapetanios, M Marcellino
International Journal of Forecasting 25 (2), 400-417, 2009
1382009
Can one estimate the unconditional distribution of post-model-selection estimators?
H Leeb, BM P÷tscher
Econometric Theory 24 (2), 338-376, 2008
1382008
Factor-GMM estimation with large sets of possibly weak instruments
G Kapetanios, M Marcellino
Computational Statistics & Data Analysis 54 (11), 2655-2675, 2010
1192010
Forecast combination and the Bank of England's suite of statistical forecasting models
G Kapetanios, V Labhard, S Price
Economic Modelling 25 (4), 772-792, 2008
1172008
An automatic leading indicator of economic activity: forecasting GDP growth for European countries
G Camba‐Mendez, G Kapetanios, RJ Smith, MR Weale
The Econometrics Journal 4 (1), S56-S90, 2001
1132001
A parametric estimation method for dynamic factor models of large dimensions
G Kapetanios, M Marcellino
Journal of Time Series Analysis 30 (2), 208-238, 2009
1102009
The financial market impact of UK quantitative easing
F Breedon, JS Chadha, A Waters
Oxford Review of Economic Policy 28 (4), 702-728, 2012
1022012
Forecasting using Bayesian and information-theoretic model averaging: an application to UK inflation
G Kapetanios, V Labhard, S Price
Journal of Business & Economic Statistics 26 (1), 33-41, 2008
1022008
A testing procedure for determining the number of factors in approximate factor models with large datasets
G Kapetanios
Journal of Business & Economic Statistics 28 (3), 397-409, 2010
982010
Exponent of cross‐sectional dependence: Estimation and inference
N Bailey, G Kapetanios, MH Pesaran
Journal of Applied Econometrics 31 (6), 929-960, 2016
972016
A bootstrap procedure for panel data sets with many cross‐sectional units
G Kapetanios
The Econometrics Journal 11 (2), 377-395, 2008
972008
Making a match: Combining theory and evidence in policy-oriented macroeconomic modeling
G Kapetanios, A Pagan, A Scott
Journal of Econometrics 136 (2), 565-594, 2007
922007
Nonlinear mean reversion in real exchange rates
GE Chortareas, G Kapetanios, Y Shin
Economics Letters 77 (3), 411-417, 2002
892002
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